The cross-section of volatility and expected returns

Journal of Finance

Volumn 61, Issue 1, 2006, Pages 259-299

  Ang, Andrew ^a   Hodrick, Robert J ^a   Xing, Yuhang ^b   Zhang, Xiaoyan ^c  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b RICE UNIVERSITY   (United States)

^c Department of Obstetrics Gynecology   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33645087144     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2006.00836.x     Document Type: Article

References (66)

1. Alizadeh, Sassan, Michael Brandt, and Franxis X. Diebold, 2002, Range-based estimation of stochastic volatility models, Journal of Finance 57, 1047-1091.
2. Andersen, Torben G., Tim Bollerslev, and Francis X. Diebold, 2003, Some like it smooth, and some like it rough: Untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility, Working paper, Duke University.
3. Bakshi, Gurdip, Charles Cao, and Zhiwu Chen, 2000, Do call prices and the underlying stock always move in the same direction? Review of Financial Studies 13, 549-584.
4. Bakshi, Gurdip, and Nikunj Kapadia, 2003, Delta-hedged gains and the negative market volatility risk premium, Review of Financial Studies 16, 527-566.
5. Bali, Turan G., Nusret Cakici, Xuemin Yan, and Zhe Zhang, 2004, Does idiosyncratic risk really matter? Journal of Finance 60, 905-929.
6. Barberis, Nicholas, and Ming Huang, 2001, Mental accounting, loss aversion, and individual stock returns, Journal of Finance 56, 1247-1292.
7. Bates, David, 2000, Post-'87 crash fears in the S&P500 futures option market, Journal of Econometrics 94, 181-238.
8. Bates, David, 2001, The market for crash risk, Working paper, University of Iowa.
9. Benzoni, Luca, 2002, Pricing options under stochastic volatility: An empirical investigation, Working paper, University of Minnesota.
10. Black, Fisher, Michael Jensen, and Myron S. Scholes, 1972, The capital asset pricing model: Some empirical tests, in Michael Jensen, ed.: Studies in the Theory of Capital Markets (Praeger, New York, NY).
11. Black, Fisher, and Myron S. Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 81, 637-659.
12. Breeden, Douglas T., 1979, An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics 7, 265-296.
13. Breeden, Douglas T., Michael R. Gibbons, and Robert H. Litzenberger, 1989, Empirical tests of the consumption-oriented CAPM, Journal of Finance 44, 231-262.
14. Brown, David P., and Miguel A. Ferreira, 2003, The information in the idiosyncratic volatility of small firms, Working paper, University of Wisconsin-Madison.
15. Buraschi, Andrea, and Jens Jackwerth, 2001, The price of a smile: Hedging and spanning in option markets, Review of Financial Studies 14, 495-527.
16. Campbell, John Y., 1993, Intertemporal asset pricing without consumption data, American Economic Review 83, 487-512.
17. Campbell, John Y., 1996, Understanding risk and return, Journal of Political Economy 104, 298-345.
18. Campbell, John Y., and Ludger Hentschel, 1992, No news is good news: An asymmetric model of changing volatility in stock returns, Journal of Financial Economics 31, 281-318.
19. Campbell, John Y., Martin Lettau, Burton G. Malkiel, and Yexiao Xu, 2001, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, Journal of Finance 56, 1-44.
20. Carr, Peter, and Liuren Wu, 2003, Variance risk premia, Working paper, Baruch College.
21. Chacko, George, and Luis M. Viceira, 2003, Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets, Working paper, Harvard University.
22. Chen, Joseph, 2002, Intertemporal, CAPM and the cross-section of stock returns, Working paper, University of Southern California.
23. Chernov, Mikhail, and Eric Ghysels, 2000, Towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation, Journal of Financial Economics 56, 407-458.
24. Coval, Joshua, and Tyler Shumway, 2001, Expected option returns, Journal of Finance 56, 983-1009.
25. Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1997, Measuring mutual fund performance with characteristic-based benchmarks, Journal of Finance 52, 1035-1058.
26. Diether, Karl B., Christopher J. Malloy, and Anna Scherbina, 2002, Differences of opinion and the cross section of stock returns, Journal of Finance 57, 2113-2141.
27. Eraker, Björn, Michael Johannes, and Nicholas Poison, 2003, The impact of jumps in volatility and returns, Journal, of Finance 58, 1269-1300.
28. Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
29. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 25, 2349.
30. Fama, Eugene F., and James D. MacBeth, 1973, Risk return, and equilibrium: Empirical tests, Journal of Political Economy 71, 607-636.
31. French, Kenneth R., G. William Schwert, and Robert F. Stambaugh, 1987, Expected stock returns and volatility, Journal of Financial Economics 19, 3-29.
32. Gabaix, Xavier, Parameswaran Gopikrishnan, Vasiliki Plerou, and H. Eugene Stanley, 2003, A theory of power law distributions in financial market fluctuations, Nature 423, 267-270.
33. Gervais, Simon, Ron Kaniel, and Daniel H. Mingelgrin, 2001, The high-volume return premium, Journal of Finance 56, 877-919.
34. Gibbons, Michael R., Steven A. Ross, and Jay Shanken, 1989, A test of the efficiency of a given portfolio, Econometrica 57, 1121-1152.
35. Glosten, Laurence R., Ravi Jagannathan, and David E. Runkle, 1993, On the relation between the expected value and the volatility of the nominal excess return on stocks, Journal of Finance 48(5), 1779-1801.
36. Goyal, Amit, and Pedro Santa-Clara, 2003, Idiosyncratic Risk Matters! Journal of Finance 58, 975-1007.
37. Guo, Hui, and Robert F. Whitelaw, 2003, Uncovering the risk-return relation in the stock market, Working paper, NYU.
38. Hansen, Lars P., and Scott F. Richard, 1987, The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models, Econometrica 55, 587-614.
39. Harvey, Campbell R., and Akhtar Siddique, 2000, Conditional skewness in asset pricing tests, Journal of Finance 55, 1263-1295.
40. Heston, Steven L., 1993, A closed-form solution for options with stochastic volatility with applications to bond and currency options, Review of Financial Studies 6, 327-343.
41. Hodrick, Robert J., and Xiaoyan Zhang, 2001, Evaluating the specification errors of asset pricing models, Journal of Financial Economics 62, 327-376.
42. Hong, Harrison, Terence Lim, and Jeremy C. Stein, 2000, Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies, Journal of Finance 55, 265-295.
43. Jackwerth, Jens, and Mark Rubinstein, 1996, Recovering probability distributions from option prices, Journal of Finance 51, 1611-1631.
44. Jagannathan, Ravi, and Zhenyu Wang, 1996, The conditional CAPM and the cross-section of expected returns, Journal of Finance 51, 3-53.
45. Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-92.
46. Jones, Charles M., 2003, A century of stock market liquidity and trading costs, Working paper, Columbia University.
47. Jones, Charles M., and Matthew Rhodes-Kropf, 2003, The price of diversifiable risk in venture capital and private equity, Working paper, Columbia University.
48. Jones, Christopher S., 2003, Dynamics of stochastic volatility: Evidence from underlying and options markets, Journal of Econometrics 116, 181-224.
49. Lamont, Owen A., 2001, Economic tracking portfolios, Journal of Econometrics 105, 161-184.
50. Lehmann, Bruce N., 1990, Residual risk revisited, Journal of Econometrics 45, 71-97.
51. Lintner, John, 1965, Security prices, risk and maximal gains from diversification, Journal of Finance 20(6), 587-615.
52. Liu, Jun, 2001, Dynamic portfolio choice and risk aversion, Working paper, UCLA.
53. Liu, Jun, and Jun Pan, 2003, Dynamic derivative strategies, Journal of Financial Economics 69, 401-430.
54. Longstaff, Francis A., 1989, Temporal aggregation and the continuous-time capital asset pricing model, Journal of Finance 44, 871-887.
55. Malkiel, Burton G., and Yexiao Xu, 2002, Idiosyncratic risk and security returns, Working paper, University of Texas at Dallas.
56. Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887.
57. Merton, Robert C., 1987, Presidential address: A simple model of capital market equilibrium with incomplete information, Journal of Finance 42, 483-510.
58. Miller, Edward M., 1977, Risk, uncertainty and divergence of opinion, Journal of Finance 32, 1151-1168.
59. Newey, Whitney K., and Kenneth D. West, 1987, A simple positive-definite heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
60. Pan, Jun, 2002, The jump-risk premia implicit in options: Evidence from an integrated time-series study, Journal of Financial Economics 63, 3-50.
61. Pástor, Ľuboš, and Robert F. Stambaugh, 2003, Liquidity risk and expected stock returns, Journal of Political Economy 111, 642-685.
62. Ross, Steven, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-360.
63. Tinic, Seha M., and Richard R. West, 1986, Risk, return and equilibrium: A revisit, Journal of Political Economy 94, 126-147.
64. Vayanos, Dimitri, 2004, Flight to quality, flight to liquidity, and the pricing of risk, Working paper, MIT.
65. Whaley, R., 2000, The investor fear gauge, Journal of Portfolio Management 26, 12-17.
66. Xu, Yexiao, and Burton G. Malkiel, 2003, Investigating the behavior of idiosyncratic volatility, Journal of Business 76, 613-644.